JDJIX vs. MSTVX
JDJIX (JHancock Diversified Macro Fund) and MSTVX (Morningstar Alternatives Fund) are both Multistrategy funds. Over the past 5 years, JDJIX returned 3.07%/yr vs 4.01%/yr for MSTVX. Their 0.12 correlation means their historical movements had little consistent relationship. JDJIX charges 1.39%/yr vs 1.15%/yr for MSTVX.
Performance
JDJIX vs. MSTVX - Performance Comparison
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Returns By Period
In the year-to-date period, JDJIX achieves a 10.22% return, which is significantly higher than MSTVX's 1.98% return.
JDJIX
- 1D
- -0.33%
- 1M
- 0.33%
- 6M
- 6.26%
- YTD
- 10.22%
- 1Y
- 8.73%
- 3Y*
- 0.75%
- 5Y*
- 3.07%
- 10Y*
- —
- ALL TIME*
- 2.27%
MSTVX
- 1D
- 0.19%
- 1M
- 0.09%
- 6M
- 1.31%
- YTD
- 1.98%
- 1Y
- 4.86%
- 3Y*
- 6.45%
- 5Y*
- 4.01%
- 10Y*
- —
- ALL TIME*
- 4.19%
Liquidity Comparison
| Position | Avg. Volume Value (2W) | Avg. Volume Value (1M) | Avg. Volume Value (3M) |
|---|---|---|---|
| $0.00 | $0.00 | $0.00 | |
| $0.00 | $0.00 | $0.00 |
JDJIX vs. MSTVX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | |
|---|---|---|---|---|---|---|---|---|
JDJIX JHancock Diversified Macro Fund | 10.22% | -7.68% | 2.59% | 2.77% | 12.26% | -2.19% | -2.24% | 1.59% |
MSTVX Morningstar Alternatives Fund | 1.98% | 6.42% | 6.37% | 6.86% | -2.69% | 4.20% | 3.81% | 2.43% |
Correlation
The correlation between JDJIX and MSTVX is 0.07, meaning there was essentially no consistent relationship between their historical price movements. Each responded to its own set of market drivers.
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | 0.07 |
Correlation (3Y) Balances recent behavior with more history. | 0.09 |
Correlation (5Y) Shows whether the relationship held over a longer period. | 0.09 |
Correlation (All Time) Calculated using the full available price history since Jul 29, 2019 | 0.12 |
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Return for Risk
JDJIX vs. MSTVX — Risk / Return Rank
JDJIX
MSTVX
JDJIX vs. MSTVX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for JHancock Diversified Macro Fund (JDJIX) and Morningstar Alternatives Fund (MSTVX). Risk-adjusted metrics are performance indicators that assess an investment's returns in relation to its risk, enabling a more accurate comparison of different investment options.
Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.
| JDJIX | MSTVX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -1.79 | ||
| Sortino ratioReturn per unit of downside risk | -2.94 | ||
| Omega ratioGain probability vs. loss probability | 1.15 | 1.54 | -0.39 |
| Calmar ratioReturn relative to maximum drawdown | 1.18 | 3.28 | -2.10 |
| Martin ratioReturn relative to average drawdown | 3.29 | 8.08 | -4.80 |
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Drawdowns
JDJIX vs. MSTVX - Drawdown Comparison
The maximum JDJIX drawdown since its inception was -19.58%, which is greater than MSTVX's maximum drawdown of -8.02%. Use the drawdown chart below to compare losses from any high point for JDJIX and MSTVX.
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Drawdown Indicators
| JDJIX | MSTVX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -19.58% | -8.02% | -11.56% |
Max Drawdown (1Y)Largest decline over 1 year | -5.07% | -1.84% | -3.23% |
Max Drawdown (3Y)Largest decline over 3 years | -19.58% | -3.31% | -16.27% |
Max Drawdown (5Y)Largest decline over 5 years | -19.58% | -5.89% | -13.69% |
Current DrawdownCurrent decline from peak | -10.22% | -0.28% | -9.94% |
Average DrawdownAverage peak-to-trough decline | -7.45% | -1.17% | -6.28% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.90% | 0.68% | +1.22% |
Volatility
JDJIX vs. MSTVX - Volatility Comparison
JHancock Diversified Macro Fund (JDJIX) has a higher volatility of 1.77% compared to Morningstar Alternatives Fund (MSTVX) at 0.57%. This indicates that JDJIX's price experiences larger fluctuations and is considered to be riskier than MSTVX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| JDJIX | MSTVX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 1.77% | 0.57% | +1.20% |
Volatility (6M)Calculated over the trailing 6-month period | 5.15% | 1.77% | +3.38% |
Volatility (1Y)Calculated over the trailing 1-year period | 7.09% | 2.29% | +4.80% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 8.83% | 3.16% | +5.67% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 9.12% | 3.13% | +5.99% |
JDJIX vs. MSTVX - Expense Ratio Comparison
JDJIX has a 1.39% expense ratio, which is higher than MSTVX's 1.15% expense ratio.
Dividends
JDJIX vs. MSTVX - Dividend Comparison
JDJIX's dividend yield for the trailing twelve months is around 0.28%, less than MSTVX's 3.34% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 |
|---|---|---|---|---|---|---|---|---|---|
JDJIX JHancock Diversified Macro Fund | 0.28% | 0.31% | 0.43% | 3.99% | 11.26% | 3.46% | 2.11% | 3.79% | 0.00% |
MSTVX Morningstar Alternatives Fund | 3.34% | 3.41% | 3.07% | 3.86% | 3.92% | 4.99% | 2.91% | 1.74% | 0.25% |
Frequently Asked Questions
JDJIX and MSTVX have a correlation of 0.07, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
JDJIX has higher volatility (1.77%) compared to MSTVX (0.57%). In terms of maximum drawdown, JDJIX dropped -19.58% vs MSTVX's -8.02%.
MSTVX currently has the higher Sharpe Ratio (2.64 vs 0.85), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.
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